The valuation at origination of mortgages with full prepayment and default risks

DOI10.1007/s11009-024-10081-2MaRDI QIDQ6549637

Guo-jing Wang, Congjin Zhou, Pin Wang, Yinghui Dong

Publication date: 4 June 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

defaultregime switchinguniformizationvaluationmortgageprepayment

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08)

Cites Work

• Unnamed Item
• Asian option as a fixed-point
• A Bayesian approach to modeling mortgage default and prepayment
• Markov-modulated Ornstein-Uhlenbeck processes
• A regime-switching model with jumps and its application to bond pricing and insurance
• Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model
• The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• VALUATION OF MORTGAGE INSURANCE CONTRACTS WITH COUNTERPARTY DEFAULT RISK: REDUCED-FORM APPROACH
• Credit risk: Modelling, valuation and hedging

This page was built for publication: The valuation at origination of mortgages with full prepayment and default risks